Gianluca Marcato
Professor of Finance and Real Estate
Head of Department, Real Estate and Planning
Director, Certificate in Government Property Leadership
Director, INREV / Henley Certificate in Non-Listed Real Estate Investment
Mortgages: Products, Pricing and Termination Options
The Third Trigger of Strategic Mortgage Default: Portfolio Composition (with S. Watanabe and B. Zhu), Under Review
Strategic Default, Foreclosure Delay and Post-Default Wealth Accumulation (with S. Watanabe and B. Zhu), Working Paper
Search and Matching, Frictions and Mortgage Termination Options (with M. Tong), Working Paper
Time to Homeownership and Mortgage Design: Income Sharing and Saving Incentive (with R. Wojakowski), Working Paper
Modelling Competitive Mortgage Termination Option Strategies (with M. Tong and R. Wojakowski), Working Paper
Coevolution of Institutions and Mortgage Finance Development (with M. Ball and K.A. Donkor-Hyiaman), Working Paper
Regional Differences in UK Mortgage Pricing and Choice (with A. Koblyakova)
Social Capital, Legal Institutions and Mortgage Delinquency (with L. Li and C. Zheng)
Publications
European CMBS Pricing: Bond, Mortgage and Real Estate Characteristics (with G. Tira)
Journal of Portfolio Management, 2011
Abstract: This work represents a first attempt to estimate the pricing of European CMBS products. Bond characteristics explain around 30% of variability, against 6% and 10% for mortgage and real estate variables, respectively. For floater-coupon CMBS, we find a higher impact (respectively 36%, 8%, and 22%). Furthermore, we find that rating agencies significantly underestimate the risk of investment grade bonds with lower ratings (i.e., A and BBB) in relative terms. Finally, multinational factors show that both market liquidity and real estate risk determine the cost of secured funding, which banks from less liquid countries can reduce by accessing more liquid markets.